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Dr. Amita Sharma
Assistant Professor
Qualification
Ph.D.
Phone
9990690357
Email
[email protected]

 

Bio-sketch

Dr. Amita Sharma is an Assistant professor at the Department of Mathematics, Netaji Subhas University of Technology, New Delhi. Dr. Amita has completed her doctoral titled “Optimal Portfolio Selection Contemplating Risk Propensity of Investors in Stock Markets”, in 2016 from the Department of Mathematics, Indian Institute of Technology Delhi followed by the M.Sc. and M.Phil from the Department of Operational research, Delhi University. Her Ph.D has been funded by the Council of Scientific and Industrial Research (INDIA) for five years. Her research in IIT Delhi focused on Portfolio Optimization where the aim was to construct optimal portfolios of financial instruments by building different optimization models based on investor’s behaviour towards reward and risk in investment. Over the several years, she encountered several intriguing topics of investment science and now possesses a good knowledge in the area of mean-risk modeling, second order stochastic dominance, robust optimization, fundamental/technical analysis, behaviour finance, application of machine learning tools in finance, among others.


Prior to joining the NSUT, Dr. Sharma has worked with the Indian Institute of Information Technology Guwahati for four years from 2016 to 2020 as an Assistant Professor in the Department of Science and Mathematics. During her tenure at IIIT- Guwahati, she explored various applications of machine learning tools in the area of finance with the project students. 
 

 

Dr. Sharma has awarded with a Science and Engineering Research Board (SERB) Project titled ``Estimation of Financial Models Parameters using the Deep Gaussian Process Regression" under the SRG scheme, 2023-2024 (2 years). 


 

Ph.D. Students (present) 

1. Kamyani shukla 

2. Shalu 

 

Google Scholar link: https://scholar.google.com/citations?user=yOv77AoAAAAJ&hl=en

 

 

 

 

Areas of Interest

Portfolio Optimization, Machine learning in finance, Robust portfolio optimization. 

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Publications 

1. Dhingra, V, Sharma, A., Gupta, S K., (2024). A comprehensive evaluation of constrained mean-expectile portfolios with short selling, Annals of Operations Research, 1-39. 

2. Shalu, Sharma, A., Sehgal, R. (2024). Computational analysis of expectile and deviation expectile  portfolio optimization models,  Optimization and Engineering, 1-29.   

3. Dhingra, V, Sharma, A., Gupta, S K., (2023). Portfolio optimization by judicious selection of  financial ratios via PCA, Optimization and Engineering, 1-38.   

4.  Sehgal, R., Sharma, A., Mansini, R. (2023). Worst-case analysis of Omega- VaR ratio optimization model, Omega, 114, 102730.
   

5. Dhingra, V, Gupta, SK. Sharma, A. (2023). Norm constrained minimum variance portfolios with short selling, Computational Management Science 20 (1), 6.


6.  Goel, A. and Sharma, A. (2020). Mixed Value-at-Risk and its numerical investigation, Physica A: Statistical Mechanics and its Applications, 541.
   

7. Goel, A. and Sharma, A. (2019). Deviation version of second order stochastic dominance for portfolio selection, International Transactions of Operational Research.
   

8. Goel, A., Sharma, A., and Mehra, A. (2019). Robust optimization of mixed CVaR STARR ratio using copulas, Journal of Computational and Applied Mathematics, 347, 62-83.
   

9. Goel, A., Sharma, A., and Mehra, A. (2018). Index tracking and enhanced indexing using mixed conditional value-at-risk, Journal of Computational and Applied Mathematics, 335, 361–380.
   

10. Sharma, A., Utz, S., and Mehra, A. (2017). Omega-CVaR portfolio optimization and its worst case analysis, OR Spectrum, 39(2), 505-539.
   

11. Sharma, A., Agrawal, S., and Mehra, A. (2016). Enhanced indexing for risk averse investors using relaxed second order stochastic dominance, Optimization and Engineering, 1-36.
   

12. Sharma, A. and Mehra, A. (2016). Financial analysis based sectoral portfolio optimization under second order stochastic dominance, Annals of Operational Research, 1-27.
   

13. Sharma A. and Mehra A. (2015). Extended omega ratio optimization for risk-averse investors, International Transactions in Operational Research, 24(3), 485-506.
   

14. Sharma A. and Mehra A. (2014). How smart is the strategy of investing in 52-week high hitting stocks with past positive net profit in Indian market? International Journal of Behavioural Accounting and Finance, 4(4), 325-337.
   

15. Sharma A. and Mehra A. (2013). Portfolio selection with a minimax measure in safety constraint, Optimization, 62(11), 1473-1500.

Publications in National Journal

 

Publications in National Conferences

 

Publications in International Conferences

 

Books/Book Chapters

 

Publications (Click to expand)

1. Sharma A. and Mehra A. (2013). Portfolio selection with a minimax measure in safety constraint, Optimization, 62(11), 1473-1500.
2. Sharma A. and Mehra A. (2014). How smart is the strategy of investing in 52-week high hitting stocks with past positive net profit in Indian market? International Journal of Behavioural Accounting and Finance, 4(4), 325-337.
3. Sharma A. and Mehra A. (2015). Extended omega ratio optimization for risk-averse investors, International Transactions in Operational Research, 24(3), 485-506.
4. Sharma, A. and Mehra, A. (2016). Financial analysis based sectoral portfolio optimization under second order stochastic dominance, Annals of Operational Research, 1-27.
5. Sharma, A., Agrawal, S., and Mehra, A. (2016). Enhanced indexing for risk averse investors using relaxed second order stochastic dominance, Optimization and Engineering, 1-36.
6. Sharma, A., Utz, S., and Mehra, A. (2017). Omega-CVaR portfolio optimization and its worst case analysis, OR Spectrum, 39(2), 505-539.
7. Goel, A., Sharma, A., and Mehra, A. (2018). Index tracking and enhanced indexing using mixed conditional value-at-risk, Journal of Computational and Applied Mathematics, 335, 361–380.
8. Goel, A., Sharma, A., and Mehra, A. (2019). Robust optimization of mixed CVaR STARR ratio using copulas, Journal of Computational and Applied Mathematics, 347, 62-83.
9. Goel, A. and Sharma, A. (2019). Deviation version of second order stochastic dominance for portfolio selection, International Transactions of Operational Research.
10. Goel, A. and Sharma, A. (2020). Mixed value-at-risk and its numerical investigation, Physica A: Statistical Mechanics and its Applications, 541.

 

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